I would like to throw in a bit as well:
The reason there is inorganic arsenic in the shot is to reduce the surface tension of the molten Pb to help it form into more spherical balls when it is produced. -This is info from Metallico-Granite city. Robin in their shot division was very helpful and sent me MSD sheets on their shot products.
The smaller the shot, the less arsenic is needed to help make round pellets. There is a buffer on the outside of the pellets that will dross off when melting. I've used the 9 shot to make many bullets, with good results.
Of note is the hardness of the lead, however. The bullets I made would actually ring if dropped onto a hard surface. My paper target didn't care, but the steel silhouettes didn't respond well. The bullets just shattered and dumped very little energy into the target. In fact, they almost acted like kiln-fired clay (outside the bbl). Inside the bbl, I found them quite prone to leading near the chamber end, as would be expected.
All of this said, I would check to see if your local sports store carries Lawrence brand shot. If they do, give a call to the distributor and see if you can get a different alloy drop-shipped at the same time the sports store is getting their pallets of shot. This will be the cheapest way to get the stuff you really want.
I don't think shot lead is what you really want, but in a pinch, it'll work. Always work outside with it.